no code implementations • 23 Jun 2021 • Mathias Beiglböck, Gudmund Pammer, Walter Schachermayer
Famously mathematical finance was started by Bachelier in his 1900 PhD thesis where - among many other achievements - he also provides a formal derivation of the Kolmogorov forward equation.
no code implementations • 20 Aug 2020 • Ioannis Karatzas, Walter Schachermayer, Bertram Tschiderer
We revisit the variational characterization of conservative diffusion as entropic gradient flow and provide for it a probabilistic interpretation based on stochastic calculus.
Probability 60G44, 60H30, 60J60, 82C31, 94A17
